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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.17104 |
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Table of Contents:
- We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations restricted to two prescribed upper-boundary and lower-boundary processes. We rigorously show that this solution gives a probabilistic expression to the viscosity solution of some obstacle problems for the corresponding parabolic partial differential equations. As an application, the pricing problem of an American game option is studied.